A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
This book provides an account of weak convergence theory, empirical processes, and their application to a wide variety of problems in statistics. The first part of the book presents a thorough...
Weak convergence of stochastic processes is one of most important theories in probability theory. Not only probability experts but also more and more statisticians are interested in it. In the study...
for many years been heavily dependent on bank financing, and this situation has not changed fundamentally. In his paper on stock exchange governance in the European Union Guido Ferrarini discusses...
Applies the well-developed tools of the theory of weak convergenceof probability measures to large deviation analysis--a consistentnew approachThe theory of large deviations, one of the most dynamic...
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